The Gunners boss believes his signing of a proven performer as a free agent proves that there is still value to be found amid the big-money deals.
The current window has been dominated by the record-breaking €222 million move of Brazilian superstar Neymar from Barcelona to Paris Saint-Germain.
There have, however, been various other big-money deals, with Manchester rivals City and United spending vast sums in England while AC Milan are among those to have embarked on elaborate recruitment drives in Europe.
Wenger has resisted the urge to follow suit, with the notoriously prudent Frenchman having once again kept a close eye on the Emirates Stadium purse strings – with Kolasinac and Alexandre Lacazette the only additions to date.
On Kolasinac, who was snapped up at the end of his contract at Bundesliga side Schalke, the Gunners boss said: “His performance talks about him and the way the crowd responds shows he has been straight away been accepted and shows you can still find good players on the market for free.
“For me it is important to build the game out from the back, sometimes I am punished for it but it has to be the basis of our game. If you want to play football you have to build the game out from the back.”
Kolasinac took in a Premier League debut to remember on Friday night, with Arsenal opening the new campaign with a thrilling 4-3 victory over Leicester .
The Gunners trailed for large parts of an absorbing contest, with Wenger relieved to have seen his side snatch all three points through two late efforts from substitutes Aaron Ramsey and Olivier Giroud.
He added: “I felt that to lose would have been terrible for us because we had such good preparation and to sit there on Saturday morning and think we had lost at home would have been terrible.
“It is a relief and I believe as well a reminder to the players that they have hurdles on the way and that we can get round it, like tonight so that is quite positive.
“After that, let’s take it game by game – go to Stoke – then to Liverpool, who are as well one of the teams who want to win the Premier League.
“To win like we did will only strengthen [belief] and overall we have good ingredients in the squad and it is a good opportunity again to show it away from home.”